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文章在多因素模型的基础上,结合实际投资操作的特点,得出了行业敏感度指标,并利用我国股市中22个行业的858支股票的数据对行业敏感度的存在性及稳定性等基本性质进行了检验,证明行业敏感度确实存在于大多数行业中,而且在大约1年的短期内表现出了较高的稳定性。在上述研究的基础上,论文实证研究了行业敏感度在资产配置中的作用,发现该指标在资产选择及在确定资产配置比例两方面都具有提高投资收益或降低投资风险的作用。
Based on the multivariate model, combined with the characteristics of the actual investment operation, the author gets the index of the sensitivity of the industry and makes use of the sensitivity and stability of the industry’s data of 858 stocks in 22 industries in our country The nature has been tested to prove that industry sensitivity does exist in most industries and shows a high degree of stability over a short period of about one year. Based on the above studies, the paper empirically studies the role of industry sensitivity in asset allocation and finds that this indicator has the effect of increasing investment return or reducing investment risk both in asset selection and in determining the proportion of asset allocation.